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xtdcce: Estimating Dynamic Common Correlated Effects in Stata

Jan Ditzen

No 1601, SEEC Discussion Papers from Spatial Economics and Econometrics Centre, Heriot Watt University

Abstract: This article introduces a new Stata command, xtdcce, to estimate a dynamic common correlated effects model with heterogeneous coefficients. The estimation procedure mainly follows Chudik and Pesaran (2015b), in addition the common correlated effects estimator (Pesaran, 2006), as well as the mean group (Pesaran and Smith, 1995) and the pooled mean group estimator (Shin et al., 1999) are supported. Coefficients are allowed to be heterogeneous or homogeneous. In addition instrumental variable regressions and unbalanced panels are supported. The Cross Sectional Dependence Test (CD Test) is automatically calculated and presented in the estimation output. Small sample time series bias can be corrected by jackknife correction or recursive mean adjustment. Examples for empirical applications of all estimation methods mentioned above are given

Keywords: xtdcce; parameter heterogeneity; dynamic panels; cross section dependence; common correlated effects; pooled mean-group estimator; mean-group estimator; instrumental variables; ivreg2 (search for similar items in EconPapers)
JEL-codes: C21 C23 C26 C87 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ger
Date: 2016
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